Factor Evaluation in Quantitative Portfolio Management

March 23, 2015
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Factor Evaluation in Quantitative Portfolio Management

When it comes to managing a portfolio of stocks versus a benchmark the problem is very different from defining an absolute return strategy. In the former one has to hold more stocks than in the later where no stocks at all can be held  if there is not good enough opportunity.  The reason for that is the tracking error. This

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Tomorrow, 10AMPT: Live webinar on "checkpoint" package

March 23, 2015
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A quick heads-up that tomorrow (Tuesday) at 10AM Pacific Time I'll be giving a live (and free) webinar: Reproducibility with Revolution R Open and the Checkpoint Package. I'll show you how to use the latest version of the checkpoint package to write R scripts without having to worry about unexpected package updates on CRAN. Here's the full abstract: Good...

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12 new R jobs (2015-03-23)

March 23, 2015
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12 new R jobs (2015-03-23)

This is the bimonthly post (for 2015-03-23) for new R Jobs from R-users.com. Employers: visit this link to post a new R job to the R community (it’s free and quick). Job seekers: please follow the links below to learn more and apply for your job of interest (or visit previous R jobs posts). Full-Time RN Required – QI Specialist III Molina Healthcare – North Charleston SC – Posted...

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BayesFactor updated to version 0.9.11-1

March 23, 2015
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The BayesFactor package has been updated to version 0.9.11-1. The changes are:  CHANGES IN BayesFactor VERSION 0.9.11-1CHANGES  * Fixed memory bug causing importance sampling to fail.  CHANGES IN BayesFactor VERSION 0.9.11CHANGES  *...

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Hypothesis Testing: Fishing for Trouble

March 23, 2015
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Hypothesis Testing: Fishing for Trouble

Monday 23 March 2015 - 14:50 Introduction "Can you check if this is significant?" It was a seemingly innocuous question from a dangerous source: a semi data-literate scientist. The kind who believed, deep in his heart, that small p-values were ...

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Release of psd 1.0 to CRAN

March 23, 2015
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Release of psd 1.0 to CRAN

Greetings, Interweb! I’m pleased to announce psd 1.0, a long-overdue major update from the 0.* series which includes significant advancements in performance, improved clarity and consistency of documentation and method/class handling, and the elimination a few long-standing bugs. Some major changes include: … Continue reading →

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News So Far for Geomorph v2.1.4beta

March 23, 2015
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Dear geomorph users,we have so far recognised and fixed the following bugs known to be in geomorph v.2.1.3 on CRAN, and these are available in the GitHub repository of v.2.1.4beta:  BUG FIXES    Corrected error readland.tps() "Error...

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PMRetract: PubMed retraction reporting rewritten as an interactive RMarkdown document

March 22, 2015
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PMRetract: PubMed retraction reporting rewritten as an interactive RMarkdown document

Back in 2010, I wrote a web application called PMRetract to monitor retraction notices in the PubMed database. It was written primarily as a way for me to explore some technologies: the Ruby web framework Sinatra, MongoDB (hosted at MongoHQ, now Compose) and Heroku, where the app was hosted. I automated the update process using

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Remove leading 0 with ggplot2.

March 22, 2015
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Remove leading 0 with ggplot2.

I recently had an occasion while working on a three variable interaction plot for a paper where I wanted to remove the leading 0's in the x-axis text labels using ggplot2. This was primarily due to some space concerns I had for the x-axis labels. Unfor...

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Western Front Battle Exchange Rates

March 22, 2015
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Western Front Battle Exchange Rates

Introduction:GithubThe Western Front in World War One is considered a a war of outdated tactics combined with brutal efficiency of technology. And while the war saw the introduction of several innovations (eg. tanks and airplanes) the general routine o...

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Regression Models, It’s Not Only About Interpretation

March 22, 2015
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Regression Models, It’s Not Only About Interpretation

Yesterday, I did upload a post where I tried to show that “standard” regression models where not performing bad. At least if you include splines (multivariate splines) to take into accound joint effects, and nonlinearities. So far, I do not discuss the possible high number of features (but with boostrap procedures, it is possible to assess something related to...

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“What You’re Doing Is Rather Desperate”

March 22, 2015
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“What You’re Doing Is Rather Desperate”

Self-protrait by Gustave Courbet.Source: WikiMedia Commons.One blog that I have been (occasionally but repeatedly) reading for a long time is the What You're Doing Is Rather Desperate blog by Neil Saunders. HT to WoW!ter for po...

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Launch into space

March 22, 2015
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Launch into space

I saw a link to a list with all rocket launches into space the other day. This post contains some plots concerning day of launch made from that.DataData is a fixed format file with eleven columns. Reading fixed format is not very difficult, however, it...

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Parsing Dates and Times

March 21, 2015
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Parsing Dates and Times

Motivation R has excellent for dates and times via the built-in Date and POSIXt classes. Their usage, however, is not always as straightforward as one would want. Certain conversions are more cumbersome than we would like: while as.Date("2015-03-22"), would it not be nice if as.Date("20150322") (a format often used in logfiles) also worked, or for that matter as.Date(20150322L) using an integer variable, or...

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scientific notation for R/latex

March 21, 2015
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scientific notation for R/latex

Motivation Using R within a latex document can be a component of reproducible research, offering (a) some assurance against typographical errors in transcribing results to the latex file and (b) the ability for others to reproduce the results. For example, one might like to explain how close the computed integral of the Witch of Agnesi function 1 2woa <- function(x, a=1) 8 * a^3 / (x^2 +...

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I’m all about that bootstrap (’bout that bootstrap)

I’m all about that bootstrap (’bout that bootstrap)

As some of my regular readers may know, I'm in the middle of writing a book on introductory data analysis with R. I'm at the point in the writing of the book now where I have to make some hard… Continue reading →

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Ensemble Learning with Cubist Model

March 20, 2015
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Ensemble Learning with Cubist Model

The tree-based Cubist model can be easily used to develop an ensemble classifier with a scheme called “committees”. The concept of “committees” is similar to the one of “boosting” by developing a series of trees sequentially with adjusted weights. However, the final prediction is the simple average of predictions from all “committee” members, an idea

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Fixing Colors & Proportions in Jerusalem Post Election Graphics

March 20, 2015
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Fixing Colors & Proportions in Jerusalem Post Election Graphics

Vis expert Naomi Robbins did an excellent critique of the graphics that went along with an article on Israeli election in the Jerusalem Post. Non-uniform and color-blind-unfriendly categorical colors and disproportionate arc sizes are definitely three substantial issues in that series of visualizations. We can rectify all of them with two new packages of mine:

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NYC is a city that does sleep, a bit

March 20, 2015
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NYC is a city that does sleep, a bit

The On Broadway project collected more than 600,000 photographs taken near Broadway in New York City during a six-month period in 2014. If you're in New York, you can explore the images in an interactive installation at the New York Public Library though the end of this year. You can also explore them in your browser using this online...

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What Consumers Learn Before Deciding to Buy: Representation Learning

March 20, 2015
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What Consumers Learn Before Deciding to Buy: Representation Learning

Features form the basis for much of our preference modeling. When asked to explain one's preferences, features are typically accepted as appropriate reasons: this job paid more, that candidate supports tax reform, or it was closer to home. We believe t...

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Rolling Sharpe Ratios

March 20, 2015
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Rolling Sharpe Ratios

Similar to my rolling cumulative returns from last post, in this post, I will present a way to compute and … Continue reading →

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Digital Data Collection course

March 20, 2015
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Another year, another web scraping course. Taught through SSRMC at the University of Cambridge. Below are slides from all three sessions.In the course I tried to achieve the following:- Show how to connect R to resources online- Use loops and functions...

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New Online Tool for Seasonal Adjustment

March 20, 2015
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New Online Tool for Seasonal Adjustment

A new website is showcasing the use of seasonal and allows for online seasonal adjustment of time series.

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It’s Analytics Survey Time!

March 20, 2015
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It’s Analytics Survey Time!

Every other year Rexer Analytics surveys Data Analysts, Predictive Modelers, Data Scientists, Data Miners, and all other types of analytic professionals, students, and academics regarding the software they use.  I then update the main results in The Popularity of Data Analysis … Continue reading →

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Tips & Tricks 7: Plotting PCA with TPS grids

March 19, 2015
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Tips & Tricks 7: Plotting PCA with TPS grids

Geomorph users,Our function plotTangentSpace() performs a Principal Components Analysis (PCA) of shape variation and plots two dimensions of tangent space for a set of Procrustes-aligned specimens and also returns the shape cha...

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Just how many retracted articles are there in PubMed anyway?

March 19, 2015
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Just how many retracted articles are there in PubMed anyway?

I am forever returning to PubMed data, downloaded as XML, trying to extract information from it and becoming deeply confused in the process. Take the seemingly-simple question “how many retracted articles are there in PubMed?” Well, one way is to search for records with the publication type “Retracted Article”. As of right now, that returns

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Solar eclipse

March 19, 2015
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Solar eclipse

Introduction Today there was a solar eclipse that was not visible on my side of the Atlantic, but was seen on the European side, either as a partial eclipse, towards the south, or a total one, towards the north . Eclipses being rare and solar power being a new thing, this event caused unprecedented reduction of solar power . A good spot for viewing the...

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The synoptic problem and statistics [book review]

March 19, 2015
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The synoptic problem and statistics [book review]

A book that came to me for review in CHANCE and that came completely unannounced is Andris Abakuks’ The Synoptic Problem and Statistics.  “Unannounced” in that I had not heard so far of the synoptic problem. This problem is one of ordering and connecting the gospels in the New Testament, more precisely the “synoptic” gospels

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broom: a package for tidying statistical models into data frames

March 19, 2015
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broom: a package for tidying statistical models into data frames

The concept of “tidy data”, as introduced by Hadley Wickham, offers a powerful framework for data manipulation, analysis, and visualization. Popular packages like dplyr, tidyr and ggplot2 take great advantage of this framework, as explored in several recent posts by others. But there’s an important step in a tidy data workflow that so...

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